TY  - JOUR
AB  - This paper re‐examines the role of real estate within mixed asset portfolios from the perspective of an Irish portfolio manager. The nature of the investment market in the Republic of Ireland leads to the study extending the existing literature by expanding the universe of assets beyond a solely domestic setting and by imposing constraints on the optimal portfolios. Irish funds generally hold proportionately more in international equities than in the domestic market due to the small and illiquid nature of the Irish market; therefore, unconstrained tests do not adequately model the behaviour of Irish portfolio managers. The study finds that while real estate plays an important role in both the domestic and international unconstrained portfolios, it exits the optimal portfolios at relatively low return levels. Additionally, the real estate series adjusted for smoothing fails to enter any of the optimal portfolios. However, the use of 20 per cent band constraints leads to an increase in the diversification role real estate can play in a mixed asset portfolio, with the asset maintaining a presence up to more acceptable return levels.
VL  - 18
IS  - 4
SN  - 1463-578X
DO  - 10.1108/14635780010345445
UR  - https://doi.org/10.1108/14635780010345445
AU  - Stevenson Simon
PY  - 2000
Y1  - 2000/01/01
TI  - Constraining optimal portfolios and the effect on real estate’s allocation
T2  - Journal of Property Investment & Finance
PB  - MCB UP Ltd
SP  - 488
EP  - 506
Y2  - 2024/04/19
ER  -